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a work on asset pricing models. His main research areas include modeling and estimation of credit risk, internal models for credit scoring and portfolio credit risk, and development and implementation of supervisory guidelines. He also works as a consultant in these fields for leading financial institutions. Rösch has published numerous articles on these(More)
Financial institutions are faced with the challenge to forecast future credit portfolio losses. It is common practice to focus on portfolio models consisting of a limited set of parameters, such as the probability of default, asset correlation, loss given default or exposure at default. A simple portfolio model is also used in the Basel II framework for(More)
Sponsors: q Modelling with high frequency data q Fund management and trading rules q Funds of funds and balanced funds q Advances in asset management and portfolio optimisation q Relative value and market neutral strategies q Modelling volatility and correlation q Risk analysis and credit trading q Derivatives pricing and real options q Firms capital(More)